STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS (Q2799999): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS |
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STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS (English)
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14 April 2016
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stochastic local intensity model
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interacting particle systems
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loss modeling
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credit derivatives
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Monte Carlo algorithm
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Fokker-Planck equation
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martingale problem
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